S&P / ASX 200 Volatility Index

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	param	t-stat
$ω$	0.6738	4.25
$α$	0.0863	6.40
$β$	0.8773	44.31
$γ_{1}$	-0.3290	-0.84
$γ_{2}$	0.3296	0.54
$γ_{3}$	0.2493	0.58
$γ_{4}$	-0.7585	-1.90
$γ_{5}$	0.9663	2.77
$γ_{6}$	-0.6704	-1.98
$γ_{7}$	0.4389	1.29
$γ_{8}$	-0.4932	-1.36
$γ_{9}$	0.3682	1.27

V-Lab

Alice Queen Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Alice Queen Limited Analyses